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Price and volatility spillovers across North American, European and Asian stock markets

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  • Singh, Priyanka
  • Kumar, Brajesh
  • Pandey, Ajay
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    Abstract

    This paper examines price and volatility spillovers across North American, European and Asian stock markets. The return spillover is modeled through VAR(15) in which fifteen world indices, representative of their stock market are considered. The effect of same day return in explaining the return spillover is also analyzed using VAR and AR with exogenous variables. Volatility spillover is modeled through AR-GARCH incorporating the same day effect. In both return and volatility spillover, it is found that a particular index is mostly affected by the indices which open/close just before it. It is also found that there is a greater regional influence among Asian and European stock markets. Our paper contributes to the literature by including markets that span the whole time line and also modeling the same day effect with simultaneity preserved where required. Given the evidence, the results can be generalized for the other markets that were not included.

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    Bibliographic Info

    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 19 (2010)
    Issue (Month): 1 (January)
    Pages: 55-64

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    Handle: RePEc:eee:finana:v:19:y:2010:i:1:p:55-64

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    Web page: http://www.elsevier.com/locate/inca/620166

    Related research

    Keywords: Return spillover Volatility spillover VAR (15) VAR with exogenous variables Emerging market;

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    1. Dao, Chi-Mai & Wolters, J├╝rgen, 2008. "Common stochastic volatility trends in international stock returns," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 431-445, June.
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    Cited by:
    1. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    2. Sin, Chor-Yiu (CY), 2013. "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 552-564.
    3. Andrikopoulos, Andreas & Angelidis, Timotheos & Skintzi, Vasiliki, 2012. "Illiquidity, return and risk in G7 stock markets: interdependencies and spillovers," MPRA Paper 40003, University Library of Munich, Germany.
    4. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," MPRA Paper 44395, University Library of Munich, Germany.
    5. Lucey, Brian M. & Muckley, Cal, 2011. "Robust global stock market interdependencies," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 215-224, August.
    6. Abbas, Qaisar & Khan, Sabeen & Shah, Syed Zulfiqar Ali, 2013. "Volatility transmission in regional Asian stock markets," Emerging Markets Review, Elsevier, vol. 16(C), pages 66-77.
    7. Alexandrou, George & Koulakiotis, Athanasios & Dasilas, Apostolos, 2011. "GARCH modelling of banking integration in the Eurozone," Research in International Business and Finance, Elsevier, vol. 25(1), pages 1-10, January.
    8. Grigoryev, Ruslan & Jaffry, Shabbar & Marchenko, German, 2012. "The role of the timeline in Granger causality test in the presence of daily data non-synchronism," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 3-19.
    9. A. Maghyereh & B. Awartani, 2012. "Return and volatility spillovers between Dubai financial market and Abu Dhabi Stock Exchange in the UAE," Applied Financial Economics, Taylor & Francis Journals, vol. 22(10), pages 837-848, May.

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